| Metric | EQW | ^DJI | SPY | MV (50d) | BL (50d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 94.0% | 100.0% |
| Cumulative Return | 408.02% | 320.26% | 539.04% | 684.21% | 429.47% |
| CAGR﹪ | 6.69% | 5.89% | 7.67% | 8.55% | 6.87% |
| Sharpe | 0.42 | 0.4 | 0.48 | 0.51 | 0.44 |
| Prob. Sharpe Ratio | 98.09% | 97.76% | 99.14% | 99.48% | 98.6% |
| Smart Sharpe | 0.39 | 0.38 | 0.45 | 0.48 | 0.41 |
| Sortino | 0.58 | 0.57 | 0.67 | 0.73 | 0.61 |
| Smart Sortino | 0.55 | 0.53 | 0.63 | 0.68 | 0.58 |
| Sortino/√2 | 0.41 | 0.4 | 0.48 | 0.51 | 0.43 |
| Smart Sortino/√2 | 0.39 | 0.38 | 0.45 | 0.48 | 0.41 |
| Omega | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Max Drawdown | -59.82% | -53.78% | -55.19% | -57.61% | -58.14% |
| Max DD Date | 2008-11-20 | 2009-03-09 | 2009-03-09 | 2009-03-03 | 2009-03-09 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2007-10-30 | 2007-11-01 |
| Max DD Period End | 2011-04-26 | 2013-03-04 | 2012-08-15 | 2010-08-26 | 2011-04-20 |
| Longest DD Days | 1453 | 2450 | 2404 | 1360 | 1432 |
| Volatility (ann.) | 20.79% | 18.55% | 19.53% | 19.9% | 19.27% |
| Calmar | 0.11 | 0.11 | 0.14 | 0.15 | 0.12 |
| Skew | -0.28 | -0.11 | -0.01 | 0.01 | -0.32 |
| Kurtosis | 12.33 | 12.25 | 11.16 | 10.52 | 13.61 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.03% | 0.03% |
| Expected Monthly | 0.54% | 0.48% | 0.62% | 0.68% | 0.55% |
| Expected Yearly | 6.45% | 5.68% | 7.39% | 8.24% | 6.62% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -2.02% | -1.96% |
| Expected Shortfall (cVaR) | -3.6% | -3.6% | -3.6% | -3.6% | -3.6% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.93 | 0.96 | 0.92 | 0.96 | 0.95 |
| Outlier Win Ratio | 3.87 | 4.39 | 4.21 | 4.34 | 4.28 |
| Outlier Loss Ratio | 3.76 | 4.3 | 3.97 | 3.72 | 4.07 |
| MTD | 2.59% | 2.57% | 5.17% | 3.31% | 2.65% |
| 3M | 7.06% | 10.94% | 12.06% | 7.33% | 6.54% |
| 6M | 9.24% | 14.12% | 16.79% | 11.09% | 8.19% |
| YTD | 0.74% | 3.83% | 6.85% | 3.94% | 0.47% |
| 1Y | 11.09% | 18.42% | 29.36% | 5.74% | 10.99% |
| 3Y (ann.) | 3.56% | 6.31% | 10.76% | 4.32% | 4.14% |
| 5Y (ann.) | 5.78% | 9.1% | 14.72% | 5.95% | 5.78% |
| 10Y (ann.) | 3.72% | 9.29% | 12.72% | 3.45% | 4.2% |
| All-time (ann.) | 6.69% | 5.89% | 7.67% | 8.55% | 6.87% |
| Best Day | 14.86% | 11.37% | 14.52% | 14.98% | 14.01% |
| Worst Day | -12.09% | -12.93% | -10.94% | -11.02% | -11.4% |
| Best Month | 16.17% | 13.95% | 12.7% | 20.3% | 15.89% |
| Worst Month | -25.09% | -14.06% | -16.52% | -16.84% | -23.26% |
| Best Year | 56.84% | 26.5% | 32.31% | 60.19% | 55.22% |
| Worst Year | -44.11% | -33.84% | -36.8% | -34.21% | -43.07% |
| Avg. Drawdown | -3.4% | -2.3% | -2.04% | -3.76% | -2.87% |
| Avg. Drawdown Days | 55 | 46 | 32 | 62 | 52 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.16 | 0.14 | 0.17 | 0.16 | 0.15 |
| Serenity Index | 0.42 | 0.37 | 0.41 | 0.47 | 0.41 |
| Avg. Up Month | 5.03% | 3.52% | 3.74% | 4.95% | 4.66% |
| Avg. Down Month | -5.71% | -4.4% | -4.54% | -4.93% | -5.3% |
| Win Days | 53.4% | 53.12% | 54.29% | 53.86% | 53.64% |
| Win Month | 55.96% | 60.93% | 62.91% | 57.04% | 58.86% |
| Win Quarter | 62.38% | 65.35% | 70.3% | 62.0% | 66.0% |
| Win Year | 65.38% | 69.23% | 76.92% | 65.38% | 65.38% |
| Year | EQW | ^DJI | SPY | MV (50d) | BL (50d) |
|---|---|---|---|---|---|
| 1999 | 23.68 | 22.39 | 19.28 | 38.22 | 13.84 |
| 2000 | -13.41 | -4.22 | -7.41 | -1.85 | -12.65 |
| 2001 | -8.20 | -5.12 | -10.11 | -14.34 | -8.47 |
| 2002 | -9.89 | -15.11 | -20.83 | -10.87 | -6.44 |
| 2003 | 41.59 | 23.95 | 26.20 | 48.17 | 41.43 |
| 2004 | 26.02 | 3.69 | 10.78 | 33.38 | 25.88 |
| 2005 | 16.82 | -0.08 | 5.25 | 12.46 | 14.37 |
| 2006 | 29.10 | 15.58 | 15.21 | 25.81 | 30.64 |
| 2007 | 19.97 | 7.29 | 6.28 | 22.05 | 19.56 |
| 2008 | -47.06 | -34.13 | -37.36 | -36.32 | -46.29 |
| 2009 | 50.14 | 20.17 | 26.93 | 50.92 | 48.64 |
| 2010 | 20.58 | 11.76 | 15.63 | 33.66 | 15.81 |
| 2011 | -16.31 | 7.59 | 4.53 | -16.03 | -12.12 |
| 2012 | 22.81 | 7.69 | 15.64 | 2.70 | 21.71 |
| 2013 | 9.37 | 24.03 | 28.62 | 19.92 | 14.15 |
| 2014 | -4.15 | 7.84 | 13.27 | -8.33 | -2.95 |
| 2015 | -10.85 | -1.07 | 2.41 | -13.41 | -6.48 |
| 2016 | 9.23 | 13.38 | 12.18 | 12.27 | 6.57 |
| 2017 | 24.15 | 22.61 | 19.88 | 22.67 | 23.94 |
| 2018 | -12.80 | -4.20 | -3.23 | -9.86 | -11.31 |
| 2019 | 17.45 | 20.94 | 27.97 | 11.60 | 17.60 |
| 2020 | 11.12 | 13.82 | 22.47 | 11.11 | 6.62 |
| 2021 | 8.83 | 17.94 | 26.11 | 10.47 | 12.32 |
| 2022 | -6.52 | -7.24 | -17.13 | 5.37 | -7.73 |
| 2023 | 14.43 | 13.49 | 24.11 | 1.97 | 14.27 |
| 2024 | 0.83 | 3.81 | 6.73 | 3.96 | 0.54 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2011-04-26 | -59.82 | 1273 |
| 2000-01-04 | 2003-12-26 | -41.42 | 1453 |
| 2018-01-29 | 2020-12-16 | -41.02 | 1053 |
| 2014-07-07 | 2017-07-25 | -31.03 | 1115 |
| 2011-05-02 | 2013-01-18 | -27.33 | 628 |
| 2022-01-13 | 2023-07-25 | -23.27 | 559 |
| 2006-05-10 | 2006-10-25 | -18.31 | 169 |
| 2007-07-16 | 2007-09-28 | -14.38 | 75 |
| 2013-05-09 | 2013-09-17 | -13.41 | 132 |
| 2004-02-18 | 2004-09-20 | -13.21 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-30 | 2010-08-26 | -57.61 | 1032 |
| 2000-03-06 | 2003-11-25 | -34.19 | 1360 |
| 2014-05-15 | 2017-11-27 | -33.81 | 1293 |
| 2011-05-03 | 2014-02-27 | -30.55 | 1032 |
| 2022-04-21 | 2024-02-23 | -28.80 | 674 |
| 2018-01-29 | 2020-12-15 | -19.66 | 1052 |
| 2004-04-13 | 2004-09-16 | -18.84 | 157 |
| 2007-07-24 | 2007-09-17 | -18.11 | 56 |
| 2006-05-10 | 2006-10-25 | -15.30 | 169 |
| 2005-03-07 | 2005-08-10 | -12.80 | 157 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2011-04-20 | -58.14 | 1267 |
| 2018-01-29 | 2021-01-04 | -38.42 | 1072 |
| 2000-01-10 | 2003-12-11 | -37.65 | 1432 |
| 2011-05-02 | 2013-01-31 | -26.71 | 641 |
| 2014-07-07 | 2017-05-09 | -25.51 | 1038 |
| 2022-02-17 | 2023-12-26 | -20.88 | 678 |
| 2006-05-11 | 2006-10-13 | -15.91 | 156 |
| 2004-02-18 | 2004-09-30 | -13.91 | 226 |
| 2007-07-13 | 2007-09-26 | -13.06 | 76 |
| 2013-05-09 | 2013-09-13 | -11.47 | 128 |